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IM_Commodity_CurvatureMargin

Formula CurvatureMargin=max(∑b,kCVRb,k+λ⋅∑bKb2+∑b∑c≠bγb,c2⋅Sb⋅Sc,0)CurvatureMargin =max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )

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IM_Commodity_DeltaMargin

Formula Margin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}

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IM_Commodity_VegaMargin

Formula Margin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}

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IM_CreditNonQ_CurvatureMargin

Formula CurvatureMargin=max(∑b,kCVRb,k+λ⋅∑bKb2+∑b∑c≠bγb,c2⋅Sb⋅Sc,0)CurvatureMargin =max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )

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IM_CreditNonQ_DeltaMargin

Formula DeltaMargin=∑bKb2+∑b∑c≠bγb,c Sb Sc+KresidualDeltaMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \ S_{b} \ S_{c}}} + K_{residual}

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IM_CreditNonQ_VegaMargin

Formula VegaMargin=∑bKb2+∑b∑b≠cγbc gbc Sb Sc+KresidualVegaMargin =\sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{b \neq c} \gamma_{bc}} \ g_{{bc}} \ S_{b} \ S_{c}} + K_{residual}

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IM_CreditQ_BaseCorrMargin

Formula BaseCorrMargin=∑kWSk2+∑k∑l≠kρk,l⋅WSk⋅WSlBaseCorrMargin = \sqrt{\sum_{k}WS_{k}^{2} + \sum_{k}{\sum_{l \neq k} \rho_{k,l} \cdot WS_{k} \cdot WS_{l}}}

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IM_CreditQ_CurvatureMargin

Formula CurvatureMargin=max(∑b,kCVRb,k+λ⋅∑bKb2+∑b∑c≠bγb,c2⋅Sb⋅Sc,0)CurvatureMargin =max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )

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IM_CreditQ_DeltaMargin

Formula DeltaMargin=∑bKb2+∑b∑c≠bγb,c Sb Sc+KresidualDeltaMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \ S_{b} \ S_{c}}} + K_{residual}

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IM_CreditQ_VegaMargin

Formula Margin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}

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IM_Equity_CurvatureMargin

Formula CurvatureMargin=CurvatureMarginnon−residual+CurvatureMarginresidual,CurvatureMargin=max(∑b,kCVRb,k+λ⋅∑bKb2+∑b∑c≠bγb,c2⋅Sb⋅Sc,0)CurvatureMargin = CurvatureMargin_{non-residual} + CurvatureMargin_{residual}, \\ CurvatureMargin =max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )

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IM_Equity_DeltaMargin

Formula Margin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}

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IM_Equity_VegaMargin

Formula Margin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}

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IM_FX_CurvatureMargin

Formula CurvatureMargin=max(∑b,kCVRb,k+λ⋅∑bKb2+∑b∑c≠bγb,c2⋅Sb⋅Sc,0)CurvatureMargin =max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )

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IM_FX_DeltaMargin

Formula FX DeltaMargin=Kb\text{FX DeltaMargin} = K_b

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IM_FX_VegaMargin

Formula FX DeltaMargin=Kb\text{FX DeltaMargin} = K_b

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IM_IR_CurvatureMargin

Formula CurvatureMargin=HVRIR−2⋅max(∑b,kCVRb,k+λ⋅∑bKb2+∑b∑c≠bγb,c2⋅Sb⋅Sc,0)CurvatureMargin =HVR_{IR}^{-2} \cdot max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )

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IM_IR_DeltaMargin

Formula Margin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}

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IM_IR_VegaMargin

Formula Margin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}